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Ryzyko struktury: Rys koncepcyjny
[The Risk of the Structure: Initial proposal]

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Author Info

  • Staszkiewicz, Piotr W.

Abstract

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.

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File URL: http://mpra.ub.uni-muenchen.de/34257/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34257.

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Date of creation: 01 Sep 2010
Date of revision: 01 May 2011
Handle: RePEc:pra:mprapa:34257

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Related research

Keywords: Risk; Risk model; Basel; Accord; CRD; Capiatl groups; Economic capital; Capital alocation; Capital requirements; Subsidiaries; Strukture; VAR; CVAR; Related parties; Fair value; Parent entity; Measurement; Solvency; Transaction value;

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References

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  1. Thomas Cottier & Rosa M. Lastra, 2010. "The Quest for International Law in Financial Regulation and Monetaryaffairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 527-530, September.
  2. John H. Jackson, 2010. "The Quest for International Law in Financial Regulation and Monetary affairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 525-526, September.
  3. Frank Dierick & Fatima Pires & Martin Scheicher & Kai Gereon Spitzer, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
  4. Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76.
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Citations

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Cited by:
  1. Staszkiewicz, Piotr W., 2013. "Mechanizm wczesnego ostrzegania firm inwestycyjnych
    [Early warning mechanism of bankruptcy for investment companies]
    ," MPRA Paper 44290, University Library of Munich, Germany.
  2. Staszkiewicz, Piotr W., 2011. "Multi entry framework for financial and risk reporting," MPRA Paper 34903, University Library of Munich, Germany.

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